A stochastic quantile approach for longevity risk

This paper investigates the problem of quantifying longevity risk in a quantile perspective. In this field, the idea of deepening the expected changes of future mortality rates over a single year is gaining. In the following the authors propose an approach which combines a stochastic model for the evolution of mortality rates and a quantile analysis of the mortality distribution in order to capture the trend component of longevity. An ex post analysis is proposed, relying on the past mortality experience of the Italian male population measured in the period of 1954-2008. Numerical applications illustrate the results and their impact both on the survival probabilities and on the risk margin for the insurance company.